Starting in Leopard (I believe) when you open a file downloaded from the web, OS X asks if you really mean it. While it is intended to stop maliciousness, it is only a source of aggravation for me. While there are some hints here on working around it, it turns out that you can disable it completely using a Terminal command:
defaults write com.apple.LaunchServices LSQuarantine -bool NO
After that, reboot, and you should be set. (If you want to disable quarantine for files already downloaded, you can run this in 10.6:
xattr -d -r com.apple.quarantine ~/Downloads
In 10.5, you need to use this instead:
find ~/Downloads -type df -exec xattr -d com.apple.quarantine {}